Abstract
A least-squares-type estimation method appears to be about as efficient as maximum likelihood with a known contemporaneous covariance matrix.
This article first appeared in Economics Letters, 20 (1986), 351-353. Reprinted with the permission of Elsevier Science Publishers B.V. (North-Holland). Research supported in part by the McKethan-Matherly Eminent Scholar Chair, University of Florida and Wilfrid Laurier University (Ontario, Canada).
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References
Laitinen, K.: 1978, “Why is Demand Homogeneity So Often Rejected?” Economics Letters, 1, 187–191.
Rosalsky, M.C., R. Finke and H. Theil: 1984, “The Downward Bias of Asymptotic Standard Errors of Maximum Likelihood Estimates of Non-linear Systems,” Economics Letters, 14, 207–211.
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© 1992 Springer Science+Business Media Dordrecht
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Theil, H., Diamond, E.M., Raj, B. (1992). A Simple and Efficient Estimation Method for a Non-Linear Demand System. In: Raj, B., Koerts, J. (eds) Henri Theil’s Contributions to Economics and Econometrics. Advanced Studies in Theoretical and Applied Econometrics, vol 25. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-2408-9_11
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DOI: https://doi.org/10.1007/978-94-011-2408-9_11
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